Curriculum VitaeDr. Christoph Belak

University of TrierDepartment IV – Mathematics

Universitätsring 1954296 Trier, Germany

belak@uni-trier.dehttp://belak.ch/

Curriculum Vitae Dr. Christoph Belak

Personal Details

Name Dr. Christoph BelakAddress An der Maeswiese 12

54296 Trier, GermanyPhone +49 163 4285246E-Mail belak@uni-trier.de

Website http://belak.ch/Date of Birth 22.01.1987 in Mainz, Germany

Education

03/2015 PhD in Mathematics, University of KaiserslauternThesis: Worst-Case Portfolio Optimization: Transaction Costs and BubblesSupervisors: Jörn Sass, Olaf MenkensReferees: Jörn Sass, Mogens Ste�ensenGrade: summa cum laude

05/2011 Diplom in Mathematics, University of KaiserslauternGrade: 1.1

03/2006 Abitur, Bischö�iches Willigis Gymnasium, MainzGrade: 1.7

Scienti�c Career

Since 10/2015 Postdoctoral Fellow, University of Trierin the Stochastic Processes group (Frank Seifried)

02/2018 – 04/2018 Center for Computational Finance Junior Fellow, Carnegie Mellon University2 months, invited by Johannes Muhle-Karbe

04/2015 – 09/2015 Postdoctoral Fellow, University of Kaiserslauternin the Stochastic Control and Financial Mathematics group (Ralf Korn)

10/2011 – 03/2015 PhD Student (Scholarship), University of KaiserslauternSupervisor: Jörn Sass

10/2011 – 09/2013 PhD Student (Scholarship), Dublin City UniversityJoint PhD Program with University of KaiserslauternSupervisor: Olaf Menkens

10/2013 – 03/2015 Teaching Assistant, University of Kaiserslautern04/2012 – 09/2012 Teaching Assistant, University of Kaiserslautern10/2011 – 09/2013 Teaching Assistant, Dublin City University10/2010 – 03/2011 Teaching Assistant, University of Kaiserslautern05/2010 – 05/2011 ResearchAssistant, Fraunhofer-Institut for Industrial Mathematics (ITWM), Kai-

serslautern

Curriculum Vitae Dr. Christoph Belak

Prizes and Awards

01/2018 Joseph A. Schumpeter Prize 2017German Central Bank and Department IV, University of TrierFor Publication: C. Belak, S. Christensen, O. Menkens: Worst-Case Portfolio Opti-mization in a Market with Bubbles, Int. J. Theor. Appl. Finance, Vol. 19, No. 2, 2016

04/2017 Rhineland-Palatinate Award for Excellence in Teaching (Nomination)Institutes of Higher Education Evaluation Network South-West; Decision pending

06/2016 Prize for Outstanding Scientifc Achievements 2016Alumni Network of the University of KaiserslauternFor PhD Thesis: Worst-Case Portfolio Optimization: Transaction Costs and Bubbles

04/2016 Gauss Early Career Prize 2015German Society for Insurance and Financial Mathematics (DGVFM)For PhD Thesis: Worst-Case Portfolio Optimization: Transaction Costs and Bubbles

10/2011 Prize for Outstanding Diplom Thesis 2011Regional State Bank Baden-Wuerttemberg and Department of Mathematics, Uni-versity of KaiserslauternFor Diplom Thesis: Worst-Case Portfolio Optimization with Proportional TransactionCosts

Academic Service

Referee . Applied Mathematics and Optimization. Finance and Stochastics. International Journal of Financial Studies. Journal of Mathematical Analysis and Applications. Mathematical Finance. Mathematical Methods of Operations Research. Risks. SIAM Journal on Control and Optimization. Quantitative Finance

Workshops Stochastic Models and Control Workshop 2017, Trierwith Frank SeifriedStochastic Models and Control Workshop 2015, Kaiserslauternwith Ralf Korn, Jörn Sass, Frank Seifried

Committees Budget CommitteeDepartment IV, University of Trier, since 06/2017

Projects Mathematics AmbassadorsProject to promote Mathematics Courses of the University of Trier in High Schools

Memberships German Society for Insurance and Financial Mathematics (DGVFM)

Curriculum Vitae Dr. Christoph Belak

Student Advising

MSc Theses . Wilko Hanf. Thomas Streit. Lukas Mich. René Minden (co-advisor)

BSc Theses . Philip Sauer (referee). Luka Schlegel (referee). Jan Sokolowski (referee)

Research and . Britta Schmitt (with Frank Seifried)Teaching Assistants . Thomas Streit (with Frank Seifried)

. Lukas Mich (with Frank Seifried)

. Jonas Jakobs (with Frank Seifried)

. Sebastian Zimmer (with Frank Seifried)

. Manuel Klar (with Frank Seifried)

. Tobias Winkler (with Frank Seifried)

. Stefan Schiller (with Frank Seifried)

. Julia Hansen (with Frank Seifried)

Curriculum Vitae Dr. Christoph Belak

Invited Talks and Presentations

2018 . IFIP TC 7 Conference on System Modelling and Optimization, Essen. Symposium on Optimal Stopping, Houston. Probability and Computational Finance Seminar, Carnegie Mellon University. Invited Lecture (Stochastic Perron’s Method), Carnegie Mellon University. Financial/Actuarial Mathematics Seminar, University of Michigan

2017 . Optimal Stopping in Complex Environments Workshop, Bielefeld. Joint Risk & Stochastics and Financial Mathematics Seminar,

London School of Economics. 8th General AMaMeF Conference, Amsterdam. Byrne Young Researcher Workshop on Mathematical Finance, Ann Arbor

2016 . Colloquium on Mathematical Statistics and Stochastic Processes,University of Hamburg

2014 . Colloquium on Mathematical Statistics and Stochastic Processes,University of Hamburg

2011 . Financial Mathematics Seminar, Dublin City University

Contributed Talks and Presentations

2018 . 10th Bachelier Finance Society World Congress, Dublin2017 . 11th Bachelier Colloquium, Métabief2016 . Vienna Congress on Mathematical Finance, Vienna

. 9th Bachelier Finance Society World Congress, New York

. Quantitative Finance QP++ Symposium, Trier

. 12th German Probability and Statistics Days, Bochum

. 10th Bachelier Colloquium, Métabief2015 . 9th Bachelier Colloquium, Métabief2014 . TU Munich & TU Kaiserslautern Research Seminar, Kaiserslautern

. 11th German Probability and Statistics Days, Ulm2013 . International Workshop on Regime Switching Models in Finance, Kaiserslautern

. TU Munich & TU Kaiserslautern Research Seminar, Bad Tölz

. 6th European Summer School in Financial Mathematics, Vienna

. 6th AMaMeF and Banach Center Conference, Warsaw

. Frontiers in Financial Mathematics, Dublin

. 7th Bachelier Colloquium, Métabief2012 . TU Munich & TU Kaiserslautern Research Seminar, Lambrecht

. Optimal Stopping, Control and Finance Workshop, Warwick

. 7th Bachelier Finance Society World Congress, Sydney

. 10th German Probability and Statistics Days, Mainz

. 6th Bachelier Colloquium, Métabief

PublicationsDr. Christoph Belak

University of TrierDepartment IV – Mathematics

Universitätsring 1954296 Trier, Germany

belak@uni-trier.dehttp://belak.ch/

Publications Dr. Christoph Belak

Publications in Peer-Reviewed Journals

2018 . Backward Nonlinear Expectation Equations (with Thomas Seiferling and FrankSeifried), Mathematics and Financial Economics, Vol. 12, No. 1, pp. 111–134, 2018

2017 . A General Veri�cation Result for Stochastic Impulse Control Problems (with Sö-ren Christensen and Frank Seifried), SIAM Journal on Control and Optimization,Vol. 55, No. 2, pp. 627–649, 2017

2016 . Worst-Case Portfolio Optimization in a Market with Bubbles (with Sören Chri-stensen and Olaf Menkens), International Journal of Theoretical and Applied Fi-nance, Vol. 19, No. 2, 1650009 (36 pages), 2016

2015 . On the Uniqueness of Unbounded Viscosity Solutions arising in an Optimal Ter-minal Wealth Problem with Transaction Costs (with Olaf Menkens and Jörn Sass),SIAM Journal on Control and Optimization, Vol. 53, No. 5, pp. 2878–2897, 2015

2015 . Worst-Case Portfolio Optimization with Proportional Transaction Costs (withOlaf Menkens and Jörn Sass), Stochastics: An International Journal of Probabilityand Stochastic Processes, Vol. 87, No. 4, pp. 623–663, 2015

2014 . Worst-Case Optimal Investment with a Random Number of Crashes (with SörenChristensen and Olaf Menkens), Statistics & Probability Letters, Vol. 90, pp. 140–148,2014

PhD Thesis

2015 . Worst-Case Portfolio Optimization: Transaction Costs and Bub-bles, University of Kaiserslautern, 2015, available at http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:hbz:386-kluedo-40450

Preprints

2017 . Utility Maximization in a Factor Model with Constant and Proportional Costs(with Sören Christensen), submitted to Finance and Stochastics (under Revision),available at https://ssrn.com/abstract=2774697

2017 . Finite-Horizon Optimal Investment with Transaction Costs: Construction of theOptimal Strategies (with Jörn Sass), submitted to Finance and Stochastics (underRevision), available at https://ssrn.com/abstract=2636341

2017 . Pricing Contingent Claims under Jump Uncertainty (with Olaf Men-kens), submitted to Finance and Stochastics (under Revision), available at htt-ps://ssrn.com/abstract=2773231

Teaching Portfolio

Dr. Christoph BelakUniversity of Trier

Department IV – MathematicsUniversitätsring 19

54296 Trier, Germany

belak@uni-trier.dehttp://belak.ch/

Teaching Portfolio Dr. Christoph Belak

Teaching PortfolioCourses at University of Trier

Course Name Format Semester Load Evaluationh/wk Scale: 1 to 6

Stochastic Analysis and Mathematical Finance Lectures Summer 18 4 —Stochastic Analysis and Mathematical Finance Exercises Summer 18 2 —Stochastic Processes Lectures Winter 17 4 1.1Stochastic Processes Exercises Winter 17 2 1.1Lévy Processes Seminar Summer 17 2 1.0Stochastic Analysis and Mathematical Finance Exercises Summer 17 2 —Stochastic Analysis and Mathematical Finance Tutorials Summer 17 2 1.2Stochastic Control and Optimization Lectures Winter 16 2 1.3Stochastic Control and Optimization Exercises Winter 16 1 1.8Stochastic Processes Exercises Winter 16 2 1.8Stochastic Processes Tutorials Winter 16 2 1.8Stochastic Analysis and Mathematical Finance Exercises Summer 16 2 1.8Stochastic Analysis and Mathematical Finance Tutorials Summer 16 2 1.8Interest Rate and Credit Risk Models Exercises Summer 16 1 —Interest Rate and Credit Risk Models Tutorials Summer 16 1 —Stochastic Processes Exercises Winter 15 2 1.5Stochastic Processes Tutorials Winter 15 2 1.5

Courses at University of Kaiserslautern

Course Name Format Semester Load Evaluationh/wk Scale: -2 to 2

Financial Mathematics I Exercises Summer 15 2 2.0PhD Seminar Seminar Summer 15 2 —Interest Rate Theorywith Frank Seifried

Lectures Winter 14 2 1.7

Stochastic Methods Lab Winter 14 2 1.3Continuous-Time Portfolio Optimizationwith Jörn Sass

Lectures Summer 14 2 —

Nonlinear Expectationswith Frank Seifried and Jörn Sass

Seminar Summer 14 2 —

Stochastic Methods Exercises Winter 13 2 1.9Measure and Integration Theory Exercises Summer 12 4 1.3Stochastic Methods Exercises Winter 10 2 —

Teaching Portfolio Dr. Christoph Belak

Courses at Dublin City University

Course Name Format Acad. Year Loadh/wk

MS117: Probability I Exercises 2012/13 1MS136: Business Mathematics Exercises 2012/13 1MS144: Accounting Mathematics Exercises 2012/13 1MS208: Probability II Exercises 2012/13 1MS223: Mathematics for Scientists II Exercises 2012/13 1MS225: Introduction to Di�erential Equations Exercises 2012/13 2MS230: Introduction to Numerical Methods Exercises 2012/13 1MS117: Probability I Exercises 2011/12 1MS125: Mathematics for Scientists I Exercises 2011/12 1MS136: Business Mathematics Exercises 2011/12 2MS216: Mathematics of Finance: An Introduction Exercises 2011/12 2MS230: Introduction to Numerical Methods Exercises 2011/12 2